Models with multiplicative decomposition of conditional variances and correlations

Cristina Amado, Annastiina Silvennoinen, T. Teräsvirta
{"title":"Models with multiplicative decomposition of conditional variances and correlations","authors":"Cristina Amado, Annastiina Silvennoinen, T. Teräsvirta","doi":"10.4324/9781315162737-10","DOIUrl":null,"url":null,"abstract":"Univariate and multivariate GARCH type models with multiplicative decomposition of the variance to short and long run components are surveyed. The latter component can be either deterministic or stochastic. Examples of both types are studied.","PeriodicalId":380412,"journal":{"name":"Financial Mathematics, Volatility and Covariance Modelling","volume":"23 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2018-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"33","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Financial Mathematics, Volatility and Covariance Modelling","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.4324/9781315162737-10","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 33

Abstract

Univariate and multivariate GARCH type models with multiplicative decomposition of the variance to short and long run components are surveyed. The latter component can be either deterministic or stochastic. Examples of both types are studied.
条件方差和相关性的乘法分解模型
研究了单变量和多变量GARCH模型,对方差对短期和长期分量进行乘法分解。后者可以是确定性的,也可以是随机的。对这两种类型的例子进行了研究。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 求助全文
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:604180095
Book学术官方微信